A two-stage forecasting model using random forest subset-based feature selection and BiGRU with attention mechanism: Application to stock indices

• Shafiqah Azman,

  Roles Conceptualization, Formal analysis, Investigation, Methodology, Writing – original draft

  Affiliation Institute of Mathematical Sciences, Faculty of Science, Universiti Malaya, Kuala Lumpur, Malaysia

  https://orcid.org/0000-0003-4795-9668

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• Dharini Pathmanathan ,

  Roles Conceptualization, Formal analysis, Funding acquisition, Investigation, Methodology, Project administration, Resources, Supervision, Writing – review & editing

  * E-mail: dharini@um.edu.my

  Affiliations Institute of Mathematical Sciences, Faculty of Science, Universiti Malaya, Kuala Lumpur, Malaysia, Universiti Malaya Centre for Data Analytics, Universiti Malaya, Kuala Lumpur, Malaysia, Center of Research for Statistical Modelling and Methodology, Faculty of Science, Universiti Malaya, Kuala Lumpur, Malaysia

  https://orcid.org/0000-0002-3279-4031

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• Vimala Balakrishnan

  Roles Resources, Writing – review & editing

  Affiliations Department of Information Systems, Faculty of Computer Science and Information Technology, Universiti Malaya, Kuala Lumpur, Malaysia, College of Informatics, Korea University, Seoul, Republic of Korea.

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